Laboratoire de Mathématiques Raphaël Salem

UMR 6085 CNRS - University of Rouen Normandy

The double Heston model is one of the most popular option pricing models in the financial theory. It is applied to several issues such that risk management and volatility surface calibration. The talk deals with the problem of global parameter estimations in this model. The main stochastic results are about the stationarity and the ergodicity of the double Heston process. The statistical part of the talk is about the maximum likelihood and the conditional least squares estimations based on continuous time observations; then for each estimation method, we study the asymptotic properties of the resulted estimators in the ergodic case.